cor2cov | R Documentation |
Converts a correlation matrix into a covariance matrix using variance information. It is therefore the opposite of cov2cor
.
cor2cov(C, var)
C |
a symmetric numeric correlation matrix |
var |
a vector of variances |
Calculates the covariance matrix \mathbf{\Sigma}
using a correlation matrix \mathbf{C}
and outer products of the standard deviations \sigma_n
:
\mathbf{\Sigma} = \mathbf{C} \cdot \sigma_n \otimes \sigma_n
The corresponding covariance matrix.
Andrej-Nikolai Spiess
## Example in Annex H.2 from the GUM 2008 manual
## (see 'References'), simultaneous resistance
## and reactance measurement.
data(H.2)
attach(H.2)
## Original covariance matrix.
COV <- cov(H.2)
## extract variances
VAR <- diag(COV)
## cor2cov covariance matrix.
COV2 <- cor2cov(cor(H.2), VAR)
## Equal to original covariance matrix.
all.equal(COV2, COV)
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